I want to be able to confirm with the user that the he wants to close
the property sheet (which is in wizard mode) when he clicks Cancel.
I've found a lot of posts about this, which are useless, probably
because the old techniques are out-of-date, which would really suck for
compatibility. Here's all the stuff I've tried to handle:

CPropertySheet::ON_WM_SYSCOMMAND //doesn't even get called on Cancel
CPropertySheet::ON_WM_CLOSE //doesn't even get called on Cancel
CPropertySheet::OnNotify() //doesn't even get called on Cancel
CPropertyPage::OnWizardFinish() //doesn't even get called on Cancel
CPropertyPage::ON_WM_CLOSE //doesn't even get called on Cancel
CPropertyPage::ON_WM_SYSCOMMAND //doesn't even get called on Cancel
CPropertyPage::OnKillActive() //doesn't even get called on Cancel
CPropertyPage::OnOK() //doesn't even get called on Cancel
CPropertyPage::OnCancel() //Overridden gets called, wizard still closes
if the parent is not called